MKTYC_XCCY_D

High level graphic of MKTYC_XCCY_D() function with parameters. Blue square node is the actual function with the parameters ordered.

1. Key parameter
   
   
   Key value to use as a handle for the created object
2. Reload parameter
   
   
   When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
3. CurveName parameter
   
   
   A tag used to identify this curve (case insensitive) if placed within a Yieldcurve collection ( via the GroupedCurves() function ). If you pass in an empty string, it will default to the name of the 'Key' parameter.
4. ValueDate parameter
   
   
   Key to an already created Valuation Date Object. (Via the ValueDateObj() function).
5. oTenorsRates parameter
   
   
   A 2 or 3 column range of rates tenors (can be deposits, futures, FRAS or swaps) and rates. Futures tenors are inputted via futures codes (where the underlying is a 3M contract). The first character must be one of : F, G, H, J, K, M, N, Q, U, V, X or Z and these correspond to the third Wednesday of January, February, March, April, May, June, July, August, September, October, November and December respectively. The next two characters denote the year. Thus 'Z07' denotes the expiry date for a 3M futures contract that expires on the third Wednesday of December 2007. The optional 3rd column is a boolean column indicating whether you wish to utilise the tenor. For futures instruments, you can execute the FutAdj_HW() or FutAdj_KN() functions (with
   the 'OutputType' parameter set to AdjPrice) in order to compute a convexity adjusted futures price.
6. oRange2 parameter
   
   
   An optional 2 or 3 column range of rates tenors (can be deposits, futures, FRAS or swaps), rates or future prices and an optional boolean column as to whether the rate is to be used within the building of the yieldcurve.
7. oRange3 parameter
   
   
   An optional 2 or 3 column range of rates tenors (can be deposits, futures, FRAS or swaps), rates or future prices and an optional boolean column as to whether the rate is to be used within the building of the yieldcurve.
8. XCCYSwaps parameter
   
   
   A 2 or 3 column range of cross-currency tenors and spreads. The third column is an optional boolean column as to whether the spread is to be used within the building of the yieldcurve.
9. InterpMethod parameter
   
   
   Interpolation methodology to utilise when interpolating for discount factors. Possible values are : 'BackStep', (for a flat interpolation in the backwards direction), 'ForwardStep', (for a flat interpolation in the forwards direction), 'Linear' or 'LogLinear'.
10. SpreadInterp parameter
    
    
    Interpolation methodology to utilise when interpolating the forward spread curve (generated from the cross-currency basis swaps). Possible values are : 'BackStep', (for a flat interpolation in the backwards direction), 'ForwardStep', (for a flat interpolation in the forwards direction), 'Linear' or 'LogLinear'.
11. Spread parameter
    
    
    An optional flat spread value that will be added to all tenors (not the cross-currency swaps)).
12. DayCount parameter
    
    
    DayCounter for converting dates into year fractions.
13. DepoOvrWrtFuts parameter
    
    
    If a cash (deposit) tenor's end date is after the earliest futures expiry date within the curve, do we discard the cash tenor (false) or keep it (true).
14. FutsOvrWrtSwps parameter
    
    
    If a futures tenor's end date is after the earliest swap tenor's end date within the curve, do we discard the futures tenor (false) or keep it (true).
15. DepoIndex parameter
    
    
    Deposit (Libor) Index Template Key. (Created via the CreateDepoTemplate() function). This is the minimum definition of an interest rate index ( ie - LIBOR ) and is the one used by the curve. If this curve allows Deposit or FRA instrument as inputs, then the definition of those instruments are specified via this template (minus the 'Tenor' information). In addition, if this curve is passed to an Index creation function ( functions within the 'CapeTools Indexes' category of functions) then this index will serve as the definition of one side of an interest rate BasisSwap transaction. Basically, provides the definition of a BasisSwap between this index template and the index defined by the index-creation function.
16. SwapIndex parameter
    
    
    Swap Index Template Key. (Created via the CreateSwapTemplate() function). This object provides the minimum definition of an interest rate Swap and is the one used by the curve. If this curve allows for Swap instrument as inputs, then the definition of those instruments are specified via this template. This object is also used by other functions when requesting a Swap rate without the underlying swap rate definition.
17. Extrapolate parameter
    
    
    Whether the yieldCurve data should be extrapolated if a calculation request that uses a date that is beyond the end date of the yieldCurve (ie - a request for a 40 year discount factor, but the curve is only built up to 30 years.) If false an error will be returned. This setting is set globally for the whole curve. The extrapolation is conducted by computing a daily compounded forward rate between the last two points of the yieldcurve and then using this to estimate distant discount factor points.

String CTXCCYCurves.MKTYC_XCCY_D( _
String Key, _
Long Reload, _
String CurveName, _
String ValueDate, _
Variant oTenorsRates, _
Variant oRange2, _
Variant oRange3, _
Variant XCCYSwaps, _
InterpEnum InterpMethod, _
InterpEnum SpreadInterp, _
Double Spread, _
DayCountEnum DayCount, _
Boolean DepoOvrWrtFuts, _
Boolean FutsOvrWrtSwps, _
String DepoIndex, _
String SwapIndex, _
Boolean Extrapolate)

=CT.CRV.MKTYC_XCCY_D(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell CurveName,
Excel String Cell ValueDate,
XLRange oTenorsRates,
XLRange oRange2,
XLRange oRange3,
XLRange XCCYSwaps,
Excel String Cell InterpMethod,
Excel String Cell SpreadInterp,
Excel Numeric Cell Spread,
Excel String Cell DayCount,
Excel Boolean Value Cell DepoOvrWrtFuts,
Excel Boolean Value Cell FutsOvrWrtSwps,
Excel String Cell DepoIndex,
Excel String Cell SwapIndex,
Excel Boolean Value Cell Extrapolate)

static std::string MKTYC_XCCY_D(
std::string Key,
long Reload,
std::string CurveName,
std::string ValueDate,
CTRangeDataCPP oTenorsRates,
CTRangeDataCPP oRange2,
CTRangeDataCPP oRange3,
CTRangeDataCPP XCCYSwaps,
InterpEnum InterpMethod,
InterpEnum SpreadInterp,
double Spread,
DayCountEnum DayCount,
bool DepoOvrWrtFuts,
bool FutsOvrWrtSwps,
std::string DepoIndex,
std::string SwapIndex,
bool Extrapolate);

System.String CTXCCYCurvesSA.MKTYC_XCCY_D(
System.String Key,
System.Int32 Reload,
System.String CurveName,
System.String ValueDate,
CTRangeData oTenorsRates,
CTRangeData oRange2,
CTRangeData oRange3,
CTRangeData XCCYSwaps,
CTIEnums.InterpEnum InterpMethod,
CTIEnums.InterpEnum SpreadInterp,
System.Double Spread,
CTIEnums.DayCountEnum DayCount,
System.Boolean DepoOvrWrtFuts,
System.Boolean FutsOvrWrtSwps,
System.String DepoIndex,
System.String SwapIndex,
System.Boolean Extrapolate);

CTQL.CTRangeData MKTYC_XCCY_D_oTenorsRates = new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_XCCY_D_oTenorsRates_builder =
new System.Text.StringBuilder(100);

MKTYC_XCCY_D_oTenorsRates_builder.Append("{");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'7D'	 | 3.5	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'14D'	 | 3.51	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'1M'	 | 3.53	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'2M'	 | 3.55	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'3M'	 | 3.57	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'4M'	 | 3.59	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'5M'	 | 3.62	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'6M'	 | 3.63	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'7M'	 | 3.66	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'8M'	 | 3.68	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'9M'	 | 3.71	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'10M'	 | 3.73	 | True ;");
MKTYC_XCCY_D_oTenorsRates_builder.Append("'11M'	 | 3.75	 | True");
MKTYC_XCCY_D_oTenorsRates_builder.Append("}");

// Parse the string into the Range object.
MKTYC_XCCY_D_oTenorsRates.RangeFromStr( MKTYC_XCCY_D_oTenorsRates_builder.ToString() );

CTQL.CTRangeData MKTYC_XCCY_D_oRange2 = new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_XCCY_D_oRange2_builder =
new System.Text.StringBuilder(100);

MKTYC_XCCY_D_oRange2_builder.Append("{");
MKTYC_XCCY_D_oRange2_builder.Append("'1Y'	 | 3.75	 | True ;");
MKTYC_XCCY_D_oRange2_builder.Append("'2Y'	 | 3.8	 | True ;");
MKTYC_XCCY_D_oRange2_builder.Append("'5Y'	 | 3.85	 | True ;");
MKTYC_XCCY_D_oRange2_builder.Append("'10Y'	 | 3.9	 | True ;");
MKTYC_XCCY_D_oRange2_builder.Append("'15Y'	 | 4.15	 | True");
MKTYC_XCCY_D_oRange2_builder.Append("}");

// Parse the string into the Range object.
MKTYC_XCCY_D_oRange2.RangeFromStr( MKTYC_XCCY_D_oRange2_builder.ToString() );

CTQL.CTRangeData MKTYC_XCCY_D_oRange3 = new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_XCCY_D_oRange3_builder =
new System.Text.StringBuilder(100);

MKTYC_XCCY_D_oRange3_builder.Append("{");
MKTYC_XCCY_D_oRange3_builder.Append("'25Y'	 | 4.3	 | True ;");
MKTYC_XCCY_D_oRange3_builder.Append("'30Y'	 | 4.45	 | True ;");
MKTYC_XCCY_D_oRange3_builder.Append("'35Y'	 | 4.6	 | True ;");
MKTYC_XCCY_D_oRange3_builder.Append("'40Y'	 | 4.9	 | True");
MKTYC_XCCY_D_oRange3_builder.Append("}");

// Parse the string into the Range object.
MKTYC_XCCY_D_oRange3.RangeFromStr( MKTYC_XCCY_D_oRange3_builder.ToString() );

CTQL.CTRangeData MKTYC_XCCY_D_XCCYSwaps = new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_XCCY_D_XCCYSwaps_builder =
new System.Text.StringBuilder(100);

MKTYC_XCCY_D_XCCYSwaps_builder.Append("{");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'1Y'	 | -3.5	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'2Y'	 | -3	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'3Y'	 | -3.25	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'4Y'	 | -3.25	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'5Y'	 | -3.25	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'7Y'	 | -3.25	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'10Y'	 | -3.25	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'15Y'	 | -3	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'20Y'	 | -2.75	 | True ;");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("'30Y'	 | -2.75	 | True");
MKTYC_XCCY_D_XCCYSwaps_builder.Append("}");

// Parse the string into the Range object.
MKTYC_XCCY_D_XCCYSwaps.RangeFromStr( MKTYC_XCCY_D_XCCYSwaps_builder.ToString() );

• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CALEURO() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_XCCY_D() ( CT.QL.Curves20 )

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